Martin-Molinero d1a35e6281 Continuous Futures Refactor. Live Mappings (#6076) ...

* Continuous Futures Refactor. Live Mappings

- Adding support for live mappings. LiveTradingDataFeed will handle any
  symbol mapping at the configuration layer and resubscribe through the
  IDQH
- Refactoring continuous futures adding ContinuousFutureUniverse that
  will select the currently mapped security

* Minor fixes

- Remove addition of configurations in UniverseSelection step, leave
  resposability for universe.
- LiveTradingDF future unit test will only assert slice data for non
  internal feeds.
- ContinuousContractUniverse will respect internal option interest
  subscription

* Address review

2021-11-30 21:38:50 -03:00

..

Auxiliary

Fixes for continuous futures history requests (#6067)

2021-11-19 20:52:15 -03:00

Consolidators

Move WickedRenkoConsolidator to RenkoConsolidator as Default (#5931)

2021-09-17 16:32:01 -03:00

Custom

Add aggregator reader (#5942)

2021-09-27 17:25:23 -03:00

Fundamental

Fix Lean Warnings V1 (#5408)

2021-03-22 11:08:48 -07:00

Market

Fix low resolution index TradeBar parsing (#6081)

2021-11-29 12:59:16 -03:00

Shortable

Continuous futures (#6034)

2021-11-15 14:44:30 -03:00

UniverseSelection

Continuous Futures Refactor. Live Mappings (#6076)

2021-11-30 21:38:50 -03:00

BaseData.cs

Feature Index Option Low Resolution Support (#6075)

2021-11-26 13:11:35 -03:00

BaseDataRequest.cs

OpenInterest Bug Fixes (#5207)

2021-02-18 19:04:29 -03:00

Channel.cs

Bug 4600 brokerage unsubscribe symbol granular (#4640)

2020-09-14 20:11:44 -03:00

DataQueueHandlerSubscriptionManager.cs

Bug 4600 brokerage unsubscribe symbol granular (#4640)

2020-09-14 20:11:44 -03:00

DiskDataCacheProvider.cs

Fix DiskDataCacheProvider. Expanding unit test (#6058)

2021-11-15 15:57:09 -03:00

DynamicData.cs

Extract GetSetPropertyDynamicMetaObject from DynamicData

2019-09-30 13:31:55 -04:00

EventBasedDataQueueHandlerSubscriptionManager.cs

Bug 4600 brokerage unsubscribe symbol granular (#4640)

2020-09-14 20:11:44 -03:00

FileFormat.cs

Add aggregator reader (#5942)

2021-09-27 17:25:23 -03:00

GetSetPropertyDynamicMetaObject.cs

Fix Lean Warnings V1 (#5408)

2021-03-22 11:08:48 -07:00

HistoryProviderBase.cs

Fix data emitted before first date

2019-10-25 14:09:02 -03:00

HistoryProviderInitializeParameters.cs

DataPermissionManager is used by history provider

2020-06-12 12:51:14 -03:00

HistoryRequest.cs

Fixes for continuous futures history requests (#6067)

2021-11-19 20:52:15 -03:00

HistoryRequestFactory.cs

Fixes for continuous futures history requests (#6067)

2021-11-19 20:52:15 -03:00

IBaseData.cs

Fix Lean Warnings V1 (#5408)

2021-03-22 11:08:48 -07:00

IDataAggregator.cs

Refactor live data feed (#4636)

2020-08-18 20:21:10 -03:00

IndexedBasedData.cs

Add Tiingo news data

2019-10-01 00:26:36 -03:00

ISubscriptionEnumeratorFactory.cs

Renamed IDataFileProvider to IDataProvider using resharper

2017-02-15 12:16:50 -05:00

LeanDataWriter.cs

Feature Daily/Hourly Options Support (#6017)

2021-11-11 20:05:31 -03:00

Slice.cs

Fixes for OpenInterest storing (#4712)

2020-09-11 15:28:27 -07:00

SliceExtensions.cs

Alpha Streams improvements (#5876)

2021-08-27 13:50:45 -03:00

SubscriptionDataConfig.cs

Continuous Futures Refactor. Live Mappings (#6076)

2021-11-30 21:38:50 -03:00

SubscriptionDataConfigExtensions.cs

Continuous futures (#6034)

2021-11-15 14:44:30 -03:00

SubscriptionDataConfigList.cs

Adds Indexes and Index Options asset types (Backtesting/Live, IB only) (#5379)

2021-03-12 20:46:23 -03:00

SubscriptionDataSource.cs

Update Common to respect CA1304 and CA1305

2019-09-12 14:13:24 -04:00

SubscriptionManager.cs

Adds Indexes and Index Options asset types (Backtesting/Live, IB only) (#5379)

2021-03-12 20:46:23 -03:00